I am not familiar with Xwpe, which appears to have discontinued development, and is lacking in documentation. Here is some generic info that might help.

On unix the file extension is not used to determine whether something is executable or not. Instead the first few bytes of the file are examined to see if it is a program. So the extension doesn't matter. For some formats the normal conventions are used, but for executables normally they are created without any extension so that you just run using the name of the command (without needing to add .exe or .bin on the end).

The .o file is an object file, but I'm not sure about a .e file.
you can see if the operating system recognises the file using:

With Kdevelop what do you mean it didn't compile. Do you mean there was no compile option or that it did have a compile option but it didn't work. To get Kdevelop to work properly you need to create a project. Create a simple hello world C++ project and you can then compile via the three buttons above the text editor and at the leftmost corner.

If you are seriously having problems with it post the console output and we can try and fix it.

I like Kdevelop since it can be used for every language under the sun. If in future you decide to learn a scripting language like Python and combine it with C++ (i.e. C++ for the backend and Python for the GUI for quick interface turnover) it can be done using the same tool. Not to mention that its plugin architecture allows you to run things like QT Designer within the project and even import QT UI files directly into a C++ project.